Put the butter in the bowl of a mixer fitted with the paddle attachment and beat at medium speed until it is smooth. Add the sifted confectioners' sugar and beat again until the mixture is smooth and silky. Beat in one of the egg yolks, followed by the salt, vanilla and grated lemon zest. Reduce the mixer speed to low and add the flour, beating until it disappears. It is better to underbeat than overbeat at this point. If the flour isn't fully incorporated, that's okay - just blend in whatever flour needs blending with a rubber spatula. Turn the dough out onto a counter, gather it into a ball, divide it in half and wrap each piece of dough in plastic wrap; refrigerate for about 30 minutes.
Working on a smooth surface, form each piece of dough into a log that is about 1 to 1 1/4 inches thick. (Get the thickness right and whatever length you end up with will be fine.) Wrap the logs in plastic and chill for 2 hours. (The dough can be made to this point, wrapped airtight, and kept refrigerated for up to 3 days or stored in the freezer for up to 1 month.)
Position the racks to divide the oven into thirds and preheat the oven to 350 degrees F. Line two baking sheets with parchment paper.
While the oven is preheating, work on the sugar coating: Whisk the remaining egg yolk in a small bowl until it is smooth and liquid enough to use as a glaze. Spread the granulated sugar out on a piece of wax paper. Remove the logs of dough from the refrigerator, unwrap them and brush them lightly with a little egg yolk. Roll the logs in the sugar, pressing the sugar gently to get it to stick, if necessary, then, using a sharp slender knife, slice each log into cookies about 1/4-inch thick. (You can make these thicker, if you'd like, just bake them longer.) Place the cookies on the lined baking sheets, leaving about 1/2 inch of space between cookies.
Bake the cookies for 12 to 14 minutes, or until they are set but not browned. (It's fine if the yolk-brushed edges brown a smidgen.) Transfer the cookies to cooling racks to cool to room temperature.
Keeping: Packed airtight, the cookies will keep for about 5 days at room temperature. Because of the sugar-coating, these cookies are not suitable for freezing.
Makes about 50 cookies
Recipe used with permission from Dorie Greenspan, author of Paris Sweets, Great Desserts for the City's Best Pastry Shops, published by Broadway Books, 2002.